This is still a bubble. If you are getting geographic results specific to the VPN's location, for example... bubble. Furthermore, unless it is a very active VPN/proxy, you will likely build your own personal filter bubble around the VPN/proxy.
First - nothing gets your mac address, that is a common misconception.
Check this site for a few more methods of browser fingerprinting: https://panopticlick.eff.org/
Every font and plugin you have, screen size and size of your browser, even the differences in how each web browser renders a particular element, can all be used to form a "profile" of sorts. If only one piece of information changes, especially if it's something like the IP changing to that of a VPN or proxy, it's not too hard to keep the profile connected.
All ofthis is why the Tor browser is so patched -- it does its best to pretend to be your average consumer's browser.